Necessity of transversality conditions for infinite horizon problems

• 成果类型: Article
• 署名作者: Kamihigashi, T
• 署名单位: State University of New York (SUNY) System; Stony Brook University; Kobe University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.1111/1468-0262.00227
• 发表日期: 2001
• 页码: 995-1012
• 关键词: COMPETITIVE PROGRAMS; MAXIMUM PRINCIPLE; DUALITY-THEORY; asset prices; EFFICIENCY

摘要

This paper studies necessity of transversality conditions for the continuous time, reduced form model. By generalizing Benveniste and Scheinkman's (1982) envelope condition and Michel's (1990) version of the squeezing argument, we show a generalization of Michel's (1990, Theorem 1) necessity result that does not assume concavity. The generalization enables us to generalize Ekeland and Scheinkman's (1986) result as well as to establish a new result that does not require the objective functional to be finite. The new result implies that homogeneity of the return function alone is sufficient for the necessity of the most standard transversality condition. Our results are also applied to a nonstationary version of the one-sector growth model. It is shown that bubbles never arise in an equilibrium asset pricing model with a nonlinear constraint.